The Museo de Cera on Plaza de Colón houses more than 450 wax figures spanning Spanish royalty, world leaders, athletes, and Hollywood stars. The collection includes a "terror hall" with horror-themed scenes and a simulator ride. It is not on par with Madame Tussauds, but kids enjoy it and it fills a rainy afternoon. Right next to the Plaza de Colón bus terminus from the airport, so you can stop in on arrival if your timing works out.
Wax Museum
Over 450 wax figures from Spanish and world history